Just went through the trouble of getting this working on our ZCO cluster. There's a trick if you don't know it.
When you have multiple servers and a proxy:
1. for the profile, you want to have the profiles pointing to one of the mail stores. If you have certs enabled, you should point to the URL that's consistent with the certificate.
2. Launch OL before you do your BES install and make sure it connects with both profiles. Change the address book to make sure it searches the GAL.
3. For the MAPI settings (during BESX setup), make sure the besadmin user is not hidden in your GAL; Chose the PROXY as the email server and email@example.com as it appear in the admin console.
Took me a little while to figure this out so thought I might save someone the trouble.